Mathematics

Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching

Article Abstract:

A proposal that integrates the dynamic factor model of Stock and Watson and the regime-switching model of Hamilton was analyzed in the context of a multivariate and Bayesian framework. The proposal, which was coined by Diebold and Rudebusch, incorporates the two aspects of business cycle determined by Burns and Mitchell. It was shown that comovement among indicators and regime switching are vital characteristics of the business cycle.

Formula bias and within-stratum substitution bias in the U.S. CPI

Article Abstract:

Formula bias and within-stratum substitution bias have greatly contributed to the occurrence of discrepancies between the consumer price indexes (CPI) and the matched average price (AP) series. Substitution bias in indexes occurs whenever outlets and varieties are replaced by those that have more competitive values. Formula bias occurs whenever too much weight is given to goods that have temporarily low introductory prices.